Nonconvex L1/2 regularization for sparse portfolio selection (PJO)
Volume 10
Number 1
pp. 163-176

Nonconvex L1/2 regularization for sparse portfolio selection
Fengmin Xu , Guan Wang and Yuelin Gao

Key words Mathematices Subject Classification
L1/2 regularization, sparse portfolio selection, half thresholding algorithm 90C26, 91G10, 90C90

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